Sure, MultiSorting of Grids is in examples (http://dev.sencha.com/deploy/dev/examples/grid/multiple-sorting.html). But sometimes, you don't have a whole toolbar for sorting. So I decided to manage it in a separate window.
Extract the archive directly into examples folder and open multisort.html to see how it is done.
Tested in FF3.6, IE8, Opera10.5 and Chromium6.0 on Windows.